A Bitcoin wallet is a collection of private keys but may also refer to client software used to manage those keys and to make transactions on the Bitcoin network. This page covers various wallet formats in use.
It has been suggested that this article is merged with Ways_to_store_Bitcoins. Wallet security can be broken down into two independent goals: Protecting your wallet against loss. Protecting your wallet against theft.
Bitcoin-Qt is a full p2p network client, so to work, it needs to sync with the network. Basically, it will download every transaction that was done with the currency (~15 GB in total at the moment).